... and criticises first-generation CPDOs

First-generation constant proportion debt obligations (CPDOs) do not deserve AA or AAA ratings, says a report released in April by Derivative Fitch, rating agency Fitch's derivatives analysis and rating arm.

The agency, which refuses to rate CPDOs, says these products are sensitive to very minor movements in their key risk parameters, namely spread volatility, roll-down benefit and bid/offer levels. It also warns that they depend on historical performance data going back only four years in benign

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